From Constant to Rough: A Survey of Continuous Volatility Modeling

From Constant to Rough: A Survey of Continuous Volatility Modeling

In this paper, we present a comprehensive survey of continuous stochastic volatility models, discussing their historical development and the key stylized facts that have driven the field. Special attention is dedicated to fractional and rough methods: without advocating for either roughness or long...

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Bibliographic Details
Main Authors: Giulia Di Nunno, Kęstutis Kubilius, Yuliya Mishura, Anton Yurchenko-Tytarenko
Format: Article
Language:English
Published: MDPI AG 2023-10-01
Series:Mathematics
Subjects:
stochastic volatility
implied volatility smile
rough volatility
fractional processes
VIX
option pricing
Online Access:https://www.mdpi.com/2227-7390/11/19/4201

Internet

https://www.mdpi.com/2227-7390/11/19/4201

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